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Suresh M. Sundaresan

Columbia Business School - Finance and Economics

Professor

3022 Broadway

New York, NY 10027

United States

http://www0.gsb.columbia.edu/faculty/ssundaresan/

  • Columbia Business School - Finance and Economics

    • Email
    • Tel: 212-854-4423
    • Fax: 212-316-9180
SCHOLARLY PAPERS

30

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8,112

CITATIONS
Rank 4,408

SSRN RANKINGS

Top 4,408

in Total Papers Citations

121

Scholarly Papers (30)

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1.

A Simple Model for Pricing Derivative Securities with Equity, Interest-Rate, Default and Liquidity Risk

EFA 2003 Annual Conference Paper No. 852
Number of pages: 22 Posted: 23 Jul 2003
Sanjiv Ranjan Das, Rangarajan K. Sundaram and Suresh M. Sundaresan
Santa Clara University - Leavey School of Business, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 922 (18,413)
Citation 11

Abstract:

risk-neutral, PDs, reduced-form models

2.

Pricing Collateralized Swaps

Number of pages: 49 Posted: 11 Jun 2003
Michael S. Johannes and Suresh M. Sundaresan
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 760 (23,393)
Citation 5

Abstract:

Collateral, Interest Rate Swaps, Default

3.

A Simple Unified Model for Pricing Derivative Securities with Equity, Interest-Rate, and Default Risk

AFA 2004 San Diego Meetings
Number of pages: 28 Posted: 04 Dec 2003
Sanjiv Ranjan Das, Rangarajan K. Sundaram and Suresh M. Sundaresan
Santa Clara University - Leavey School of Business, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 706 (27,892)
Citation 11

Abstract:

Risk-neutral, PDs, reduced-form models

4.

The International Financial Crisis and Policy Challenges in Asia and the Pacific

BIS Paper No. 52
Number of pages: 402 Posted: 24 Jul 2010
Jaime Caruana, Andrew J. Filardo, Jason George, Anella Munro, Mico Loretan, Guonan Ma, Ilhyock Shim, Philip D. Wooldridge, James Yetman, Haibin Zhu, Jacob Gyntelberg, Eric Ho Pan Chan, Hans Genberg, Eli M. Remolona, Suresh M. Sundaresan, Susan Black, Joseph Yam, Charles M. Engel, Michael B. Devereux, Charles Goodhart, Don H. Kim, Eloisa T. Glindro, Jessica Szeto, Masaaki Shirakawa, Tarisa Watanagase, Zeti Akhtar Aziz and Amando Tetangco, Jr
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS), Reserve Bank of New Zealand, Swiss National Bank, Bruegel, Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Copenhagen Business School, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Finance and Economics, Herbert Smith, affiliation not provided to SSRN, University of Wisconsin - Madison - Department of Economics, University of British Columbia (UBC) - Department of Economics, London School of Economics & Political Science (LSE) - Financial Markets Group, Federal Reserve Board - Division of Monetary Affairs, Bank for International Settlements (BIS), affiliation not provided to SSRN, Bank of Japan - Institute of Monetary and Economic Studies, Bank of Thailand, Central Bank of Malaysia and Government of the Republic of the Philippines - Central Bank of the Philippines-Bangko Sentral ng Pilipinas
Downloads 631 (24,907)
Citation 3

Abstract:

5.

Dynamic Investment, Capital Structure, and Debt Overhang

Number of pages: 51 Posted: 21 Dec 2006
Suresh M. Sundaresan and Neng Wang
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 613 (30,474)
Citation 20

Abstract:

Endogenous default, leverage, real options, debt overhang, debt seniority

6.

Liability Driven Investment with Downside Risk

Downloads 579 ( 37,371)

Liability Driven Investment with Downside Risk

Number of pages: 28 Posted: 25 May 2012 Last Revised: 16 Oct 2012
Andrew Ang, Bingxu Chen and Suresh M. Sundaresan
BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 348 (69,514)

Abstract:

Liability Driven Investment (LDI) , Asset Allocation, Pension, Downside Risk, Expected Shortfall

Liability Driven Investment with Downside Risk

Netspar Discussion Paper No. 10/2012-051
Number of pages: 29 Posted: 17 Jan 2013
Andrew Ang, Bingxu Chen and Suresh M. Sundaresan
BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 231 (109,268)

Abstract:

-

7.

Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage

Number of pages: 41 Posted: 28 Jul 2009
Qiang Dai and Suresh M. Sundaresan
affiliation not provided to SSRN and Columbia Business School - Finance and Economics
Downloads 514 (39,424)
Citation 4

Abstract:

8.

Asset Prices and Default-free Term Structure in an Equilibrium Model of Default

Number of pages: 39 Posted: 12 Jul 2000
Ganlin Chang and Suresh M. Sundaresan
Columbia Business School and Columbia Business School - Finance and Economics
Downloads 362 (65,221)
Citation 14

Abstract:

9.

Bank Liability Structure

Columbia Business School Research Paper No. 14-41, Kelley School of Business Research Paper
Number of pages: 41 Posted: 14 Sep 2014 Last Revised: 13 Apr 2017
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 288 (31,117)
Citation 1

Abstract:

10.

On the Design of Contingent Capital with a Market Trigger

Journal of Finance, Forthcoming
Number of pages: 57 Posted: 08 Mar 2012 Last Revised: 14 May 2014
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 287 (87,181)
Citation 6

Abstract:

Contingent capital, capital requirements

11.

Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

Number of pages: 49 Posted: 05 Feb 2005
Mark Broadie, Mikhail Chernov and Suresh M. Sundaresan
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia Business School - Finance and Economics
Downloads 247 (97,816)
Citation 28

Abstract:

Contingent Claims Approach, Default, Liquidation, Optimal Security Values, Control transfer

12.

Repo Rollover Risk and the Bankruptcy Code

Columbia Business School Research Paper No. 13-8
Number of pages: 61 Posted: 14 Feb 2013 Last Revised: 17 Jun 2015
Jun Kyung Auh and Suresh M. Sundaresan
Georgetown University - Department of Finance and Columbia Business School - Finance and Economics
Downloads 239 (72,253)

Abstract:

Run Risk, Safe Harbor Debt, Optimal Liability Structure, Capital Structure, Bankruptcy Code

13.

Dollar Shortage, Central Bank Actions, and the Cross Currency Basis

Number of pages: 47 Posted: 28 Oct 2012 Last Revised: 30 Oct 2012
Jean-Marc Bottazzi, Jaime Luque, Mario Pascoa and Suresh M. Sundaresan
Paris School of Economics (PSE), Wisconsin School of Business, affiliation not provided to SSRN and Columbia Business School - Finance and Economics
Downloads 170 (112,595)
Citation 1

Abstract:

Euro-Dollar currency basis, the 2008 dollar squeeze, possession, canonical buy-sell arbitrage, central banks coordinated intervention, money markets, liquidity

14.

Risk Management of Hedge Funds: Role of Funding and Redemption Options on Leverage

Number of pages: 38 Posted: 17 Mar 2010
Suresh M. Sundaresan
Columbia Business School - Finance and Economics
Downloads 134 (171,925)

Abstract:

Unencumbered cash, prime brokers, redemption and funding options

15.

Growth Options and Optimal Default Under Liquidity Constraints: The Role of Corporate Cash Balances

Columbia Business School Research Paper
Number of pages: 42 Posted: 24 Aug 2011
Attakrit Asvanunt, Mark Broadie and Suresh M. Sundaresan
AQR Capital Management, LLC, Columbia University - Columbia Business School - Decision Risk and Operations and Columbia Business School - Finance and Economics
Downloads 108 (195,205)
Citation 3

Abstract:

16.

Public Provision of Private Liquidity: Evidence from the Millennium Date Change

AFA 2006 Boston Meetings Paper
Number of pages: 50 Posted: 21 Nov 2005
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance
Downloads 96 (224,238)
Citation 4

Abstract:

Y2K, CDC, liquidity, on-the-run, off-the-run, options

17.

Y2K Options and the Liquidity Premium in Treasury Bond Markets

FRB of New York Staff Report No. 266
Number of pages: 40 Posted: 01 Nov 2006
Zhenyu Wang and Suresh M. Sundaresan
Indiana University, Kelley School of Business and Columbia Business School - Finance and Economics
Downloads 95 (221,253)
Citation 8

Abstract:

Y2K Options, liquidity, treasury bonds

18.

The Effects of Tax on Bank Liability Structure

Downloads 63 (293,693)

The Effects of Tax on Bank Liability Structure

BIS Working Paper No. 611
Number of pages: 51 Posted: 28 Feb 2017
Leonardo Gambacorta, Giacomo Ricotti, Suresh M. Sundaresan and Zhenyu Wang
Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 42 (359,822)

Abstract:

bank liability structure, corporate tax, leverage

The Effects of Tax on Bank Liability Structure

Bank of Italy Temi di Discussione (Working Paper) No. 1101, Kelley School of Business Research Paper No. 17-27, Columbia Business School Research Paper No. 17-35
Number of pages: 57 Posted: 06 Apr 2017
Leonardo Gambacorta, Giacomo Ricotti, Suresh M. Sundaresan and Zhenyu Wang
Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 21 (455,414)

Abstract:

bank liability structure, corporate tax, leverage

The Effects of Tax on Bank Liability Structure

CEPR Discussion Paper No. DP11893
Number of pages: 50 Posted: 16 Mar 2017
Leonardo Gambacorta, Giacomo Ricotti, Suresh M. Sundaresan and Zhenyu Wang
Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 0
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Abstract:

bank liability structure, corporate tax, leverage

19.

Dynamics of the Expectation and Risk Premium in the OIS Term Structure

Kelley School of Business Research Paper No. 17-41, Columbia Business School Research Paper No. 17-55
Number of pages: 57 Posted: 15 May 2017 Last Revised: 15 Aug 2017
Suresh M. Sundaresan, Zhenyu Wang and Wei Yang
Columbia Business School - Finance and Economics, Indiana University, Kelley School of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 0 (306,164)

Abstract:

OIS, FOMC, Term structure, Bayesian inference, MCMC

20.

Underwriting Government Debt Auctions

Columbia Business School Research Paper No. 16-75, Gabelli School of Business, Fordham University Research Paper No. 2859846
Number of pages: 36 Posted: 28 Oct 2016
Sudip Gupta, Rangarajan K. Sundaram and Suresh M. Sundaresan
Fordham University - Finance Area, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 0 (406,029)

Abstract:

21.

An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

Number of pages: 56 Posted: 28 Jul 2016 Last Revised: 05 Oct 2016
Sven Klingler and Suresh M. Sundaresan
Copenhagen Business School and Columbia Business School - Finance and Economics
Downloads 0 (88,246)

Abstract:

Pension funds, liability-driven investment, swap spreads, pension protection act, swap rates, limits of arbitrage

22.

A Review of Merton's Model of the Firm's Capital Structure with its Wide Applications

Annual Review of Financial Economics, Vol. 5, pp. 21-41, 2013
Posted: 08 Nov 2013
Suresh M. Sundaresan
Columbia Business School - Finance and Economics

Abstract:

23.

Y2k Options and the Liquidity Premium in Treasury Markets

The Review of Financial Studies, Vol. 22, Issue 3, pp. 1021-1056, 2009
Posted: 17 Mar 2009
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business

Abstract:

G1, G12, G18

24.

Bidder Behavior in Multi-Unit Auctions - Evidence from Swedish Treasury Auctions

Journal of Political Economy, Vol. 110, April 2002
Posted: 27 Aug 2001
Kjell G. Nyborg, Kristian Rydqvist and Suresh M. Sundaresan
University of Zurich - Department of Banking and Finance, State University of New York at Binghamton - School of Management and Columbia Business School - Finance and Economics

Abstract:

25.

A Model of Sovereign Borrowing and Sovereign Yield Spreads

EFA 0044; PaineWebber Series at Columbia University
Posted: 19 May 2000
Rajna Gibson and Suresh M. Sundaresan
University of Geneva - Geneva Finance Research Institute (GFRI) and Columbia Business School - Finance and Economics

Abstract:

26.

Debt Valuation, Renegotiations and Optimal Dividend Policy

Paine Webber Working Paper No. 99-05
Posted: 06 Oct 1999
Hua Fan and Suresh M. Sundaresan
Goldman Sachs Group, Inc. and Columbia Business School - Finance and Economics

Abstract:

27.

Non-traded Asset Valuation with Portfolio Constraints: a Binomial Approach

Review of Financial Studies, Vol. 12, Issue 3
Posted: 11 Jul 1999
Jerome Detemple and Suresh M. Sundaresan
Boston University - Department of Finance & Economics and Columbia Business School - Finance and Economics

Abstract:

28.

Discriminatory Versus Uniform Treasury Auctions

London Business School Institute of Finance and Accounting Working Paper 198
Posted: 29 Aug 1998
Kjell G. Nyborg and Suresh M. Sundaresan
University of Zurich - Department of Banking and Finance and Columbia Business School - Finance and Economics

Abstract:

29.

Design and Valuation of Debt Contracts

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 1
Posted: 22 Aug 1998
Ronald W. Anderson and Suresh M. Sundaresan
London School of Economics & Political Science - Department of Finance and Columbia Business School - Finance and Economics

Abstract:

30.

Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans

Review of Financial Studies, Vol. 10, No. 3
Posted: 30 Jul 1997
Suresh M. Sundaresan and Fernando Zapatero
Columbia Business School - Finance and Economics and University of Southern California - Marshall School of Business

Abstract:

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